Asset managers tend to roll their futures positions early to avoid the complexities of the physical delivery period. This concentrated activity creates predictable market pressure. In sectors where these managers are net long, their early rolling can exert a bearish influence on calendar spreads.
While funding rates are the main driver for many Eurex futures rolls, the Bund and Shats calendar spreads are different. Their performance is primarily determined by the evolution of the cheapest-to-deliver (CTD) yield curve and relative value dynamics, making them directional to yields.
A US government shutdown created a "data fog," making it impossible to form a view on short-term funding rates, a key driver for bond futures rolls. This forced J.P. Morgan analysts to neutralize their view on this factor and focus on other drivers like optionality.
Unlike in the US where CFTC data is available, J.P. Morgan's European analysts use a proprietary methodology to estimate investor positioning. They reconstruct positions by analyzing changes in open interest and prices, allowing them to infer market sentiment for Eurex futures.